Fuzzy defaultable bonds
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Publication:1043261
DOI10.1016/j.fss.2008.12.017zbMath1186.91226OpenAlexW2065141917MaRDI QIDQ1043261
Elettra Agliardi, Rossella Agliardi
Publication date: 7 December 2009
Published in: Fuzzy Sets and Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.fss.2008.12.017
Related Items (8)
Bond pricing under imprecise information ⋮ The total return swap pricing model under fuzzy random environments ⋮ Credit spreads, endogenous bankruptcy and liquidity risk ⋮ Modeling uncertainty in limit order execution ⋮ Multi-criteria classification for pricing European options ⋮ A reduced-form intensity-based model under fuzzy environments ⋮ Introducing fuzziness in CDS pricing under a structural model ⋮ A new default probability calculation formula and its application under uncertain environments
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- Fuzzy sets and systems. Theory and applications
- A limit theorem in some dynamic fuzzy systems
- Optimal stopping models in a stochastic and fuzzy environment
- The valuation of European options in uncertain environment
- Term Structures of Credit Spreads with Incomplete Accounting Information
- Fuzzy measures and asset prices: accounting for information ambiguity
- Liquidity and credit risk
- Fuzzy sets
- Separability for graph convergence of sequences of fuzzy-valued random variables
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